The Forwards and Futures Navigator
Business & Finance, Finance & Investing, Interest, Investments & Securities
| Author: | Thomas Krause | ISBN: | 9780954449650 |
| Publisher: | BG Consulting | Publication: | August 9, 2013 |
| Imprint: | BG Consulting | Language: | English |
| Author: | Thomas Krause |
| ISBN: | 9780954449650 |
| Publisher: | BG Consulting |
| Publication: | August 9, 2013 |
| Imprint: | BG Consulting |
| Language: | English |
Futures and forwards contracts are not the most complicated of all the derivatives instruments, but they are often used as the building blocks for more exotic structures therefore a solid understanding of the product features and price drivers is essential. This book gives a detailed view inside how futures and forward contracts are priced, traded and how the risks involved can be managed. Sensitivities to different market parameters (e.g. interest rates, dividends) are analysed and we show how to do a mark-to-market valuation for OTC contracts. We also discuss various more complex technical problems like convexity adjustments on short-term interest rate futures. Everything is explained intuitively rather than using complex language, and the book contains questions with worked solutions throughout.
Futures and forwards contracts are not the most complicated of all the derivatives instruments, but they are often used as the building blocks for more exotic structures therefore a solid understanding of the product features and price drivers is essential. This book gives a detailed view inside how futures and forward contracts are priced, traded and how the risks involved can be managed. Sensitivities to different market parameters (e.g. interest rates, dividends) are analysed and we show how to do a mark-to-market valuation for OTC contracts. We also discuss various more complex technical problems like convexity adjustments on short-term interest rate futures. Everything is explained intuitively rather than using complex language, and the book contains questions with worked solutions throughout.
